高頻度平均回帰戦略 固定ストップロスと利益目標を使用したレンジ取引システム

/*backtest
start: 2025-01-01 00:00:00
end: 2025-03-31 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("XAU/USD High-Frequency Mean Reversion with Fixed SL and TP", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=1, commission_value=0.04)

// === 1. BASIC INDICATORS ===
[bbUpper, bbMiddle, bbLower] = ta.bb(close, 20, 2.5)  // Wider Bollinger Bands
rsi = ta.rsi(close, 5)
vwma = ta.vwma(close, 50)

// === 2. EXTENDED PARAMETERS (INCREASED SIGNALS) ===
rsiOverbought = input(75, "RSI Overbought")  // Increased from 72 to 75
rsiOversold = input(25, "RSI Oversold")     // Decreased from 28 to 25

bbMidUpper = bbMiddle + (bbUpper - bbMiddle) * 0.5
bbMidLower = bbMiddle - (bbMiddle - bbLower) * 0.5

// === 3. ENTRY CONDITIONS ===
longStrict = rsi <= rsiOversold and close <= bbLower and close > vwma
shortStrict = rsi >= rsiOverbought and close >= bbUpper and close < vwma

// Expanded signal (higher risk)
longAggressive = rsi <= rsiOversold + 5 and close <= bbMidLower and close > vwma
shortAggressive = rsi >= rsiOverbought - 5 and close >= bbMidUpper and close < vwma

// === 4. ADAPTIVE RISK MANAGEMENT ===
atr = ta.atr(14)  // ATR over 14 periods to measure volatility
volatility = ta.stdev(close, 14)  // Standard deviation of closing prices

useAdaptiveSL = input(true, "Use Adaptive SL")  // Enable Adaptive Stop Loss
slMultiplier = useAdaptiveSL ? (volatility > ta.sma(volatility, 20) ? 2 : 1.5) : 1.8  // Adjust SL based on volatility

stopLoss = atr * slMultiplier  // Stop Loss dynamically adjusts based on ATR and volatility

// === 5. FIXED STOP LOSS & TAKE PROFIT SETTINGS ===
// Fixed Stop Loss and Take Profit ratios (e.g., 1% Stop Loss and 2% Take Profit)
stopLossPercentage = 0.01  // 1% Stop Loss
takeProfitPercentage = 0.02  // 2% Take Profit

// Calculate Stop Loss and Take Profit levels based on percentage
fixedStopLoss = close * stopLossPercentage
fixedTakeProfit = close * takeProfitPercentage

// === 6. LIMIT STOP LOSS TO 20 PIPS ===
// Maximum Stop Loss of 20 pips (for XAU/USD, 1 pip = 0.01)
// Ensure Stop Loss does not exceed 20 pips
maxStopLoss = 20 * syminfo.mintick  // Maximum Stop Loss = 20 pips
finalStopLoss = math.min(stopLoss, maxStopLoss)  // Use SL that does not exceed 20 pips

// === 7. EXECUTION OF TRADES ===
if (longStrict)
    strategy.entry("Long Strict", strategy.long, stop=close-finalStopLoss, limit=close+fixedTakeProfit)
if (shortStrict)
    strategy.entry("Short Strict", strategy.short, stop=close+finalStopLoss, limit=close-fixedTakeProfit)
if (longAggressive and strategy.position_size == 0)
    strategy.entry("Long Aggressive", strategy.long, stop=close-finalStopLoss*1.2, limit=close+fixedTakeProfit*0.8)
if (shortAggressive and strategy.position_size == 0)
    strategy.entry("Short Aggressive", strategy.short, stop=close+finalStopLoss*1.2, limit=close-fixedTakeProfit*0.8)

// === 8. DISPLAY ===
// Remove TP/SL markers and labels, keeping only buy/sell signals
plot(bbUpper, "BB Upper", color=color.blue)
plot(bbLower, "BB Lower", color=color.blue)
plot(bbMidUpper, "BB Mid-Upper", color=color.new(color.blue, 70), style=plot.style_circles)
plot(bbMidLower, "BB Mid-Lower", color=color.new(color.blue, 70), style=plot.style_circles)

plotshape(longStrict, "Buy Strict", shape.labelup, location.belowbar, color=color.new(#00FF00, 0), text="STRICT\nBUY", size=size.small)
plotshape(shortStrict, "Sell Strict", shape.labeldown, location.abovebar, color=color.new(#FF0000, 0), text="STRICT\nSELL", size=size.small)
plotshape(longAggressive, "Buy Aggressive", shape.triangleup, location.belowbar, color=color.new(#00AAFF, 0), size=size.small)
plotshape(shortAggressive, "Sell Aggressive", shape.triangledown, location.abovebar, color=color.new(#FFAA00, 0), size=size.small)